Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0071
Annualized Std Dev 0.1508
Annualized Sharpe (Rf=0%) -0.0469

Row

Daily Return Statistics

Close
Observations 5479.0000
NAs 1.0000
Minimum -0.0989
Quartile 1 -0.0041
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.1338
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0095
Skewness 0.3022
Kurtosis 22.6563

Downside Risk

Close
Semi Deviation 0.0068
Gain Deviation 0.0072
Loss Deviation 0.0075
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0068
Downside Deviation (0%) 0.0068
Maximum Drawdown 0.4899
Historical VaR (95%) -0.0138
Historical ES (95%) -0.0224
Modified VaR (95%) -0.0104
Modified ES (95%) -0.0104
From Trough To Depth Length To Trough Recovery
2005-02-16 2008-10-10 NA -0.4899 3999 889 NA
1999-03-31 2000-03-24 2003-06-04 -0.2161 1006 240 766
2003-06-05 2004-06-29 2005-02-14 -0.1868 417 263 154
1999-01-05 1999-01-26 1999-02-02 -0.0379 20 15 5
1999-03-09 1999-03-17 1999-03-18 -0.0110 7 6 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.8 0 0 0 0.4 0 0.4 0 0 0.4 0.4 -0.4 2
2000 0 -1.4 0.9 0.5 0.4 0.4 0.9 0 0 0 0 -0.4 1.3
2001 0.7 0.8 0 0.1 0 0.3 0.3 0.1 0.9 -0.2 0.5 -0.5 3
2002 -0.3 0.9 0 0.3 -0.3 -0.4 0.1 0.6 0.5 0 0.2 1.5 3.2
2003 0.6 0 -0.9 -0.5 0.5 0.8 -4.1 0.3 0.7 1.7 0.2 0.1 -0.7
2004 0.3 -0.5 -1 0.8 0.7 0.5 1.4 1.4 -0.3 -0.2 -0.9 0.8 3.1
2005 -1.2 -0.1 0.9 -1.5 0.4 -0.1 -2.2 0.9 0.5 -3 0.2 0 -5.1
2006 -0.1 0.8 0.2 -0.2 1.3 0 0.3 -1.4 0.2 -0.2 1.3 1.5 3.7
2007 1 0.6 0 -0.3 -0.2 0.1 -2.7 0.8 0.1 0.2 1.5 1 2.2
2008 0.3 -0.2 1 -0.8 -1.4 0 0.6 0.2 -0.4 -1 2.6 3.1 4
2009 0.2 -0.2 -1 1 -2.2 2.6 1.1 1.1 0.3 0.3 0.6 -0.7 3
2010 0.4 0.1 -0.4 0.3 0.1 -0.8 -0.1 0.1 0.1 0.4 -1.3 1.4 0.1
2011 0.8 0.6 0.3 -0.2 0.4 -0.1 1.4 1 0.5 1 0.9 0.2 7
2012 0.5 -0.1 -0.5 0.1 0.7 -0.4 0.6 0.1 0.6 0.3 -0.1 0.3 2
2013 0.5 0.2 0.3 0.3 -1.5 0 -0.7 0.7 0.4 -0.9 0.6 -0.4 -0.6
2014 0.5 0 -0.3 -0.2 -0.4 -0.1 0.7 0.8 -0.3 -0.2 0.2 0.2 0.8
2015 0.1 0.8 0.1 -0.5 0.7 -0.5 0.9 0 0.2 -0.4 0.1 0.1 1.9
2016 0.2 0.6 -0.9 0.5 1.9 0 -0.2 -0.6 0.2 -0.8 -0.6 -1.1 -0.8
2017 0.7 -0.7 -0.2 -1.1 -0.6 0.3 3.2 0.3 0.4 -0.8 -0.9 0 0.5
2018 -0.8 0.2 0.2 -0.2 0.2 0.2 -0.8 0.2 0.1 0.2 0 -0.5 -1
2019 -1.3 0.4 0.1 0.6 -0.4 0.1 1.8 -0.3 -3.4 -0.6 -0.4 -0.6 -3.9
2020 0.1 -2 -3.9 -1.1 -0.1 0.4 -1.1 -1.9 0.4 -0.1 0.2 -0.1 -8.9
2021 -0.3 -0.6 0.1 NA NA NA NA NA NA NA NA NA -0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.5 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.4 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.2 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart